There are 2 crucial points here:
A) - I'am using JDK 1.6, so I must use ojdbc6.jar driver.
B) - I am using 64bit JDK. My platform is 64bit. As per the files downloaded *win-x86-64-11.1.0.7.0*. (If platform is 64bit, use 64bit JDK and Client. This needs to be correct for OCI to work. Due to dll's. Thin will run with 32bit).

"Set the library loading path in your environment to the directory in Step 2 ("instantclient"). On many UNIX platforms, LD_LIBRARY_PATH is the appropriate environment variable. On Windows, PATH should be used."